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Estimating market risk with neural networks
2 references·1 citing·14 second hop
Estimating market risk with neural networks (2006)Estimating market risk with neural networ…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Local polynomial estimators of the volatility function in nonparametric autoregression (1997)Local polynomial estimators o…On geometric ergodicity of CHARME models (2010)On geometric ergodicity of CH…Stationarity and Persistence in the GARCH(1,1) Model (1990)Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality (1995)Modelling Extremal Events (1997)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Semiparametric ARCH Models (1991)A Selective Overview of Nonparametric Methods in Financial Econometrics (2005)Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1 (2005)Volatility spillovers between food and energy markets: A semiparametric approach (2011)ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)Coherent Measures of Risk (1999)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)
this work references cited by second hop

References

  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 1997Local polynomial estimators of the volatility function in nonparametric autoregression259 cited

Cited by

  • 2010On geometric ergodicity of CHARME models26 cited

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